Systems and methods for displaying order performance metrics

1. A system for displaying order performance metrics, comprising: a computing device including one or more processors, configured to: receive and aggregate market data for one or more market instruments, including information corresponding to one or more user orders, including at least user order execution information for the one or more user orders, information corresponding to market order information, and information corresponding to market trade information; calculate order performance metrics relating to performance of the user orders with respect to market benchmarks for each of a plurality of time sections within a selected time period, the plurality of time sections being divided based upon the occurrence of order events or changes in limit price of orders, the selected time period also being divided into a plurality of time buckets of differing or equal length; generate a graphical representation of the order performance metrics; a display device having three displayable portions coupled with the computing device, adapted to simultaneously display the graphical representation of the order performance metrics corresponding to the graphical representation of the data relating to prices and the graphical representation of the data relating, to volume within the selected time period, wherein the first portion of the display device is adapted to display first data relating to prices of the user orders, user order executions, market orders, and market trades within the selected time period, the second portion of the display device is adapted to display second data relating to a volume of user orders filled and volume of user orders within the selected time period, and the third portion of the display device is adapted to display third data relating to the order performance metrics relating to the performance of the user orders compared with market benchmarks for each of the plurality of time sections within the selected time period, wherein corresponding data points in the first, second, and third data are each displayed corresponding to a time bucket in the plurality of time buckets, wherein the third portion of the display device is adapted to display each the order performance metrics as one or more performance bars or ribbons extending along a horizontal axis, each performance bar or ribbon being divided into segments, each segment corresponding to one of the plurality of time sections, and each segment having a color selected from a color gradient based on a user order's relative performance in comparison to a market benchmark for the time section corresponding to each segment and a color intensity (C i ) related to the length of said time section and a market value weighted average price for the time section, wherein the third portion of the display device is adapted to display the one or more performance bars or ribbons as a first performance bar or ribbon and a second performance bar or ribbon, each performance bar or ribbon extending horizontally, each performance bar or ribbon being aligned in comparison with the data displayed in the first portion and the second portion, wherein the color selected from the color gradient for each segment of the first performance bar or ribbon corresponds to the difference between a market volume-weighted average price for each of the plurality of time sections and a volume-weighted average price of the user order executions for each of the plurality of time sections, and wherein the color selected from the color gradient for each segment of the second performance bar or ribbon corresponds to the difference between an arrival price for a user order and a volume-weighted average price of the executed orders that take place during the time section corresponding to each segment, and wherein the computing device is configured to calculate the color intensity (C i ) for the display of the color of each segment of the first performance bar or ribbon using the equation: C i = Δ i / L i max i ⁢  Δ i / L i  where L i is the length of the section in minutes and Δ i is the sum of the weighting cost (Ω) and the difference between the market volume-weighted average price for the time section, where Ω=s×(P−P i )×(pV i −v i ); Where ρ = v V = ∑ i ⁢ ⁢ v i V i , s=1 if the order is a sell order and s=−1 if the order is a buy order, v i =the volume of the order traded within the time section, p i =the average price achieved for the order within the time section, V i =the volume traded on the market within the time section, and P i 32 the volume-weighted average price within the time section.

2. The system of claim 1 , wherein the first portion of the display device renders an upper portion, the second portion of the display device renders a lower portion, and the third portion of the display device renders a third portion disposed between the first and second portions.

3. The system of claim 1 , wherein the computing device is configured to calculate the color intensity (Ci) for the display of the color of each segment of the second performance bar or ribbon using the equation: C i = Δ i / L i max i ⁢  Δ i / L i  where Li is the length of the time section in minutes and Δi is the difference between the arrival price for the order and the volume-weighted average price of the order executions taking place within the time section.

4. The system of claim 1 , wherein the first portion of the display device is adapted to display: an execution price for each user order execution, displayed as data points plotted with respect to time along a horizontal axis; a market price based on the market order information, displayed as a line plotted with respect to time along a horizontal axis; a volume-weighted average price for each of the plurality of time buckets, displayed as a line plotted with respect to time along a horizontal axis, starting from a time at which the user order is placed and extending to a displayed end time; a limit price for each user order, displayed as a line, plotted with respect to time along a horizontal axis; a shaded area that is displayed in association with one or more time buckets in the event that market prices fall outside of the limit price of a user order or in the event that there is insufficient market volume available to fill a user order.

5. The system of claim 1 , wherein the second portion of the display device is adapted to display one of: a volume differential displayed as a bar chart oriented symmetrically with respect to a horizontally-extending zero-axis, with bars extending positively above the zero-axis to indicate when a market instrument has been allocated at a greater percentage than it would have been had the order been traded in accordance with the market within each of the plurality of time buckets and bars extending negatively below the zero-axis to indicate when a market instrument has been allocated at a lower percentage than it would have been had the order been traded in accordance with the market within each of the plurality of time buckets; a cumulative volume of executed user orders, calculated as the sum of the volume of all executions against a user order prior to and during each of the plurality of time buckets, displayed as a line beginning from a first time that a user order execution occurs and continuing until a specified end time, plotted with respect to time along a horizontal axis; a volume of all executions against a user order, displayed as a bar chart oriented with respect to a horizontally-extending zero-axis, with bars extending positively above the zero-axis for each of the plurality of time buckets; a volume of all market order executions, displayed as a bar chart oriented with respect to a horizontally-extending zero-axis, with bars extending positively above the zero-axis for each of the plurality of time buckets; or a percent of volume, calculated as the sum of the volumes of user order executions as a percentage of market value, displayed as a bar chart oriented with respect to a horizontally-extending zero-axis, with bars extending positively above the zero-axis for each of the plurality of time buckets.

6. A method for, displaying order performance metrics comprising: receiving and aggregating market data for one or more market instruments, including information corresponding to one or more user orders, including at least user order execution information for the one or more user orders, information corresponding to market order information, and information corresponding to market trade information; calculating order performance metrics relating to performance of the user orders with respect to market benchmarks for each of a plurality of time sections within a selected time period, the plurality of time sections being divided based upon the occurrence of order events or changes in limit price of orders, the selected time period also being divided into a plurality of time buckets of differing or equal length; generating a graphical representation of the order performance metrics; displaying, in a first portion of a display device, first data relating to user order executions, market orders, and market trades within the selected time period; displaying, in a second portion of the display device, second data relating to volume of user orders tilled and volume of market orders within the selected time period; and displaying, in a third portion of the display device, third data relating to the order performance metrics relating to the performance of the user orders compared with market benchmarks for each of the plurality of time sections within the selected time period, wherein corresponding data points in the first, second, and third data are each displayed corresponding to a time bucket in the plurality of time buckets, wherein the third portion of the display device is adapted to display each the order performance metrics as one or more performance bars or ribbons extending, along a horizontal axis, each performance bar or ribbon being divided into segments, each segment corresponding to one of the plurality of time sections, and each segment having a color selected from a color gradient based on a user order's relative performance in comparison to a market benchmark for the time section corresponding to each segment and a color intensity (Ci) related to the length of said time section and a market value weighted average price for the time section, wherein the method further comprises displaying the one or more performance bars or ribbons in the third portion of the display device as a first performance bar or ribbon and a second performance bar or ribbon, each performance bar or ribbon extending horizontally in alignment with the data displayed in the first portion and second portions of the display device, wherein the color selected from the color gradient for each segment of the first performance bar or ribbon corresponds to the difference between a market volume-weighted average price for each of the plurality of time sections and a volume-weighted average price of the user order executions for each of the plurality of time sections, and wherein the color selected from the color gradient for each segment of the second performance bar or ribbon corresponds to the difference between an arrival price for a user order and a volume-weighted average price of the executed market orders that take place during the time section corresponding to each segment; and calculating the color intensity (Ci) for the display of the color of each segment of the first performance bar or ribbon using the equation: C i = Δ i / L i max i ⁢  Δ i / L i  where Li is the length of the section in minutes and Δi is the sum of the weighting cost (Ω) and the difference between the market volume-weighted average price for the tune section, where Ω=s×(P−Pi)×(pVi−vi); Where ρ = v V = ∑ i ⁢ ⁢ v i V i , s=1 if the order is a sell order and s=−1 if the order is a buy order, Vi=the volume of the order traded within the time section, pi=the average price achieved for the order within the time section, Vi=the volume traded on the market within the time section, and Pi=the volume-weighted average price within the time section.

7. The method of claim 6 , wherein the first portion of the display device is disposed in an upper portion thereof, the second portion of the display device is disposed in a lower portion thereof, and the third portion of the of the display device is disposed between the first and second portions.

8. The method of claim 6 , further comprising calculating the color intensity (Ci) for the display of the color of each segment of the second performance bar or ribbon using the equation: C i = Δ i / L i max i ⁢  Δ i / L i  where Li is the length of the time section in minutes and Δi is the difference between the arrival price for the order and the volume-weighted average price of the trade order executions taking place within the time section.

9. The method of claim 6 , wherein displaying the first portion of the display device further comprises: generating a graphical representation of an execution price for each user order execution as data points plotted with respect to time along a horizontal axis; generating a graphical representation of a market price based on the market order information as a line, plotted with respect to time along a horizontal axis; generating a graphical representation of a volume-weighted average price for each of the plurality of time buckets, displayed as a line, plotted with respect to time along a horizontal axis, starting from a time at which the user order is placed and extending to a displayed end time; generating a graphical representation of a limit price for each user order as a line, plotted with respect to time along a horizontal axis; generating a graphical representation of an indicator, displayed as a shaded area associated with one or more time buckets, that is displayed in the event that market prices fall outside of the limit price of a user order, or in the event that there is insufficient market volume available to fill a user order.

10. The method of claim 6 , wherein displaying the second portion of the display device further comprises generating the graphical representation of one of: a volume differential displayed as a bar chart oriented symmetrically with respect to a horizontally-extending zero-axis, with bars extending positively above the zero-axis to indicate when a market instrument has been allocated at a greater percentage than it would have been had the order been traded in accordance with the market within each of the plurality of time buckets and bars extending negatively below the zero-axis to indicate when a market instrument has been allocated at a lower percentage than it would have been had the order been traded in accordance with the market within each of the plurality of time buckets; a cumulative volume of executed user orders, calculated as the sum of the volume of all executions against a user order prior to and during each of the plurality of time buckets, displayed as a line, beginning from a first time that a user order execution occurs and continuing until a specified end time, plotted with respect to time along a horizontal axis; a volume of all executions against a user order, displayed as a bar chart oriented with respect to a horizontally-extending zero-axis, with bars extending positively above the zero-axis for each of the plurality of time buckets; a volume of all market order executions, displayed as a bar chart oriented with respect to a horizontally-extending zero-axis, with bars extending positively above the zero-axis for each of the plurality of time buckets; or a percent of volume, calculated as the sum of the volumes of user order executions as a percentage of market value, displayed as a bar chart oriented with respect to a horizontally-extending zero-axis, with bars extending positively above the zero-axis for each of the plurality of time buckets.

11. A non-transitory computer-readable medium containing computer-executable instructions for performing a method for displaying order performance metrics, the method comprising: receiving and aggregating market data for one or more market instruments including information corresponding to one or more user orders, including user order execution information for the one or more user orders, information corresponding to market order information, and information corresponding to market trade information; calculating order performance metrics relating to performance of the user orders with respect to market benchmarks for each of a plurality of time sections within a selected time period, the plurality of time sections being divided based upon the occurrence of order events or changes in limit price of orders, the selected time period also being divided into a plurality of time buckets of differing or equal length; generating a graphical representation of the order performance metrics; displaying, in a first portion of a display device, first data relating to user order executions, market orders, and market trades within the selected time period; displaying, in a second portion of the display device, second data relating to volume of user orders filled and volume of market orders within the selected time period; and displaying, in a third portion of the display device, third data relating to the order performance metrics of the user orders compared with market benchmarks for each of the plurality of time sections within the selected time period, wherein corresponding data points in the first, second, and third data are each displayed corresponding to a time bucket in the plurality of time buckets, and wherein the third portion of the display device is adapted to display each the order performance metrics as one or more performance bars or ribbons extending along a horizontal axis, each performance bar or ribbon being divided into segments, each segment corresponding to one of the plurality of time sections, and each segment having a color selected from a color gradient based on a user order's relative performance in comparison to a market benchmark for the time section corresponding to each segment and a color intensity (Ci) related to the length of said time section and a market value weighted average price for the time section, wherein the method further comprises displaying the one or more performance bars or ribbons in the third portion of the display device as a first performance bar or ribbon and a second performance bar or ribbon, each performance bar or ribbon extending horizontally in alignment with the data displayed in the first portion and second portions of the display device, wherein the color selected from the color gradient for each segment of the first performance bar or ribbon corresponds to the difference between a market volume-weighted average price for each of the plurality of time sections and a volume-weighted average price of the user order executions for each of the plurality of time sections, and wherein the color selected from the color gradient for each segment of the second performance bar or ribbon corresponds to the difference between an arrival price for a user order and a volume-weighted average price of the executed market orders that take place during the time section corresponding to each segment; and calculating the color intensity (Ci) for the display of the color of each segment of the first performance bar or ribbon using the equation: C i = Δ i / L i max i ⁢  Δ i / L i  where Li is the length of the section in minutes and Δi is the sum of the weighting cost (Ω) and the difference between the market volume-weighted average price for the time section, where Ω=s×(P−Pi)×(pVi−vi); Where ρ = v V = ∑ i ⁢ ⁢ v i V i , s=1 if the order is a sell order and s=−1 if the order is a buy order, Vi=the volume of the order traded within the time section, pi=the average price achieved for the order within the time section, Vi=the volume traded on the market within the time section, and Pi=the volume-weighted average price within the time section.